References

  1. Black, F. and M. Scholes (1973), "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, Vol. 81, pp. 637-654.
  2. Black, F. (1989), "How We Came up with the Option Formula," The Journal of Portfolio Management, Vol. 15, pp. 4-8.
  3. Merton. R. C. (1973), "Theory of Rational Option Pricing," Bell Journal of Economics and Management Science, Vol. 4, pp. 141-183.
  4. Cox, J. C., S. A. Ross, and Mark Rubinstein (1979), "Option Pricing: A Simplified Approach," Journal of Financial Economics, March.
  5. Ito, K., and Henry P. McKean, Jr. (1991), Diffusion Processes and their Sample Paths, a reprint of the 1974 edition, Springer, 1991.
  6. Ito, K. (1984), Introduction to Probability Theory, Cambridge University Press, 1984.
  7. Doob, Joseph L. (1953), Stochastic Processes, John Wiley & Sons, 1953.
  8. Oskendal, B. (1995), Stochastic Differential Equations, 4th edition, Springer, 1995.
  9. Billingsley, Probability and Measure, 3rd edition, John Wiley & Sons, 1995.
  10. Ito, K. (1951), On Stochastic Differential Equations, Memoirs of the American Mathematical Society, Number 4.
  11. Neftci, Salih N. (1996), An Introduction to the Mathematics of Financial Derivatives, Academic Press
  12. Malliaris, A. G. (1983), "Ito's Calculus in Financial Decision Making," SIAM Review, Vol. 25, No. 4, October, 481-496.
  13. Black, F. (1976), "The Pricing of Commodity Contracts, Journal of Financial Economics, Vol. 3, 167-179.
  14. Black, F. (1975), "Facts and Fantasy in the Use of Options," Financial Analysts Journal, July-August, 36-72.
  15. Garman, Mark B., and Steven W. Kohlhagen (1983), "Foreign Currency Option Values," Journal of International Money and Finance, Vol. 2, 231-237.
  16. Lindgren, B. W. (1976), Statistical Theory, 3rd edition, Macmillan, New York.
  17. Armitage, P., and G. Beryy (1994), Statistical Methods in Medical Research, 3rd edition, Blackwell, Oxford, UK.
  18. Barone-Adesi, G., and Robert E. Whaley (1987), "Efficient Analytic Approximation of American Option Values," Journal of Finance, Vol. XLII, No. 2, June, 301-320.
  19. Doane, David P. (1976), "Aesthetic Frequency Classifications," The American Statistician, November, Vol. 30, No.4, 181-183.
  20. Mosteller, Frederick. (1965), Fifty Challenging Problems in Probability, Dover, New York.

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